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Fees eat diversification's lunch
Jennings, William W.; Payne, Brian C. - In: Financial analysts' journal : FAJ 72 (2016) 2, pp. 31-40
Persistent link: https://www.econbiz.de/10011688054
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Hybrid Hedge Fund Fees Model
Gorovyy, Sergiy - 2011
We investigate behavior of optimal hedge fund leverage in a fund that has a compensation contract with high-water mark and hurdle rate provisions. A risk neutral fund manager can continuously reallocate assets while she obtains management and performance fees in discrete time moments. We find...
Persistent link: https://www.econbiz.de/10013120778
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Dynamic Setting of Distribution Fees in the US Mutual Fund Industry
Casavecchia, Lorenzo - 2010
The distribution strategies of mutual funds directly or indirectly affect both their growth and their revenues. The extent of resources dedicated by a fund to its distribution channel(s) is therefore an important strategic decision. For a sample of US diversified equity mutual funds in the...
Persistent link: https://www.econbiz.de/10013152774
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Carrot and Stick : A Risk-Sharing Rationale for Fulcrum Fees in Active Fund Management
Sotes-Paladino, Juan M.; Zapatero, Fernando - 2021
We show that risk-sharing considerations rationalize symmetric benchmark-adjusted ("fulcrum") fees in the compensation of informed active fund management. By tying fees symmetrically to the appropriate benchmark, investors can tilt a fund portfolio toward their optimal risk exposure and realize...
Persistent link: https://www.econbiz.de/10013220741
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Does Active Fee Predict Mutual Fund Flow? - Price Sensitivity of Demand for Active Management
Døskeland, Trond; Sjuve, André Wattø; Ørpetveit, Andreas - 2021
Active fee is the ratio between the excess cost of active management over the index alternative and the fund's activity level. We suggest a simple model that explains active capital allocations in the presence of time-varying active fee. We show that investors respond in accordance with the...
Persistent link: https://www.econbiz.de/10013225316
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Strategy and Implementation : Quantitative Evaluation of Strategic Performance with Application to Mutual Funds
Cooper, William W. - 2011
This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...
Persistent link: https://www.econbiz.de/10013118148
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Diversification among cryptoassets : Bitcoin maximalism, active portfolio management, and survival biass
Sun, Weizhi; Krištoufek, Ladislav - 2021
literature, and the general perception of diversification benefits within cryptomarkets mostly builds on popular beliefs. The …
Persistent link: https://www.econbiz.de/10012650668
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Diversification of investment portfolios as an instrument used by institutional investors in the capital management process
Trippner, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 85-93
The paper presents the essence and ways of limiting the level of investment risk through the processes of diversifying the composition of investment portfolios. The paper shows types of deposit portfolios. The author analyzed the profitability of deposit portfolios with various share of...
Persistent link: https://www.econbiz.de/10009511454
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Diversification in Funds of Hedge Funds : Is it Possible to Overdiversify?
Brown, Stephen J. - 2011
(FOFs). In this paper we examine a new database that separates out for the first time the effects of diversification (the … variance reducing effects of diversification peter out once FOFs hold more than 20 underlying hedge funds. Yet the majority of … FOFs are more diversified than this. We find a new and surprising result that this excess diversification actually …
Persistent link: https://www.econbiz.de/10013134528
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Diversification of Equity with VIX Futures : Personal Views and Skewness Preference
Alexander, Carol - 2012
diversification into VIX futures is ex-ante optimal for standard mean-variance investors, then extend this to include skewness … study shows that skewness preference increases the frequency of diversification, but out-of-sample the optimally …
Persistent link: https://www.econbiz.de/10013108699